CAJ | 학술논문

协整分析方法经过20多年的发展成为计量经济学界的一个前沿工具，在经济与金融领域得到了广泛的应用。线性协整分析已经成熟，而非线性协整的理论与方法仍在持续研究中。本文回顾了最近20年非线性协整的发展历史，其中包括结构变化、门限非线性、马尔可夫转换和平滑转换等几类非线性协整模型，强调了这些非线性机制的本质区别，总结了已取得的一些重要研究成果，最后对该问题的最新发展动向加以概括。
협정분석방법경과20다년적발전성위계량경제학계적일개전연공구，재경제여금융영역득도료엄범적응용。선성협정분석이경성숙，이비선성협정적이론여방법잉재지속연구중。본문회고료최근20년비선성협정적발전역사，기중포괄결구변화、문한비선성、마이가부전환화평활전환등궤류비선성협정모형，강조료저사비선성궤제적본질구별，총결료이취득적일사중요연구성과，최후대해문제적최신발전동향가이개괄。
Cointegration analysis has been a popular form in time series econometrics after cointegration has been presented and developed more than twenty years. The applications of cointegration have been widely considered in areas of economics and finances. Theories and methods of linear cointegrating models are matured. In constrast, nonlinear cointegrating models are still investigated continuously. We review the past twenty years of nonlinear models of cointegration research that include structural break, threshold, markov switching, smooth transition, and so forth. We distinguish the characters in different nonlinear regimes. We also review highly influential works on nonlinear cointegrating models that have been published during this period. Enormous progress has been made in many areas, but we find that there are a large number of topics in need of further development. We conclude with comments on possible future research directions in this field.